Un Test de Validité de la Value-at-Risk
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Other versions of this item:
- Christophe Hurlin & Sessi Tokpavi, 2007. "Un test de validité de la Value at Risk," Revue économique, Presses de Sciences-Po, vol. 58(3), pages 599-608.
- Christophe Hurlin & Sessi Tokpavi, 2007. "Un test de Validité de la Value-at-risk," Post-Print halshs-00272963, HAL.
Citations
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Cited by:
- Elena-Ivona Dumitrescu & Christophe Hurlin & Vinson Pham, 2012.
"Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests,"
Finance, Presses universitaires de Grenoble, vol. 33(1), pages 79-112.
- Elena-Ivona Dumitrescu & Christophe Hurlin & Vinson Pham, 2012. "Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests," Working Papers halshs-00671658, HAL.
- Elena Ivona Dumitrescu & Christophe Hurlin & Vinson Pham, 2012. "Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests," Post-Print hal-01385901, HAL.
- Elena-Ivona DUMITRESCU, 2011. "Backesting Value-at-Risk: From DQ (Dynamic Quantile) to DB (Dynamic Binary) Tests," LEO Working Papers / DR LEO 262, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
More about this item
Keywords
Test; Validité; Value-at-Risk;All these keywords.
JEL classification:
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
Statistics
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